SUMMARY 98.95% of the time that users find their way to the SDDM theme chooser, they're actually looking to change the wallpaper on the login screen and don't actually care about switching theme. (Science proves it!) Android is an instructive example here; if you change the wallpaper, you get the option to set it for desktop + login, or just desktop. Plasma should work the same way. The user should not even have to know that SDDM is a thing; it's just the login screen. Additionally, wallpaper changes made via the UI should apply instantly to SDDM, so that the user can toggle to the lock screen and back. IMO (see sibling tickets) the entire SDDM theme chooser could be bumped from the settings panel, and this feature offered instead.
This is already possible. Click on the "Change Background" button on the grid item of the SDDM theme whose wallpaper you want to change. Maybe the UI isn't the greatest here since that wasn't obvious to you. Let's make this bug report about that.